Sandman Presents: The Thessaliad #1-4 (of 4) (2002)

Thessaly, the fan-favorite character from The Sandman: A Game Of You, returns in a new mini-series by Bill Willingham and Shawn McManus. A cantankerous creature known as Fetch is sent to capture Thess and prepare her as the last supper for a pact of homeless gods. But Fetch and Thessaly both end up being chased while travelling from the fractured streets of Manhattan to the mercurial realms beneath the subway. The most powerful Thessalian witch ever may have finally met her match. – comicvine.com